Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0575
Annualized Std Dev 0.1623
Annualized Sharpe (Rf=0%) 0.3542

Row

Daily Return Statistics

Close
Observations 3647.0000
NAs 1.0000
Minimum -0.0922
Quartile 1 -0.0040
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0051
Maximum 0.0986
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0102
Skewness -0.0838
Kurtosis 13.9031

Downside Risk

Close
Semi Deviation 0.0074
Gain Deviation 0.0074
Loss Deviation 0.0082
Downside Deviation (MAR=210%) 0.0122
Downside Deviation (Rf=0%) 0.0073
Downside Deviation (0%) 0.0073
Maximum Drawdown 0.4389
Historical VaR (95%) -0.0148
Historical ES (95%) -0.0243
Modified VaR (95%) -0.0139
Modified ES (95%) -0.0139
From Trough To Depth Length To Trough Recovery
2007-12-13 2009-03-09 2011-04-27 -0.4389 849 310 539
2020-01-23 2020-03-23 2020-09-02 -0.2459 156 42 114
2018-01-29 2018-12-24 2019-09-03 -0.1834 402 229 173
2011-06-01 2011-08-09 2012-03-08 -0.1739 195 49 146
2016-09-07 2016-12-01 2017-04-24 -0.1138 158 61 97

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA -0.5 -0.2 -0.2 -0.4 -1.4
2007 0.4 -0.3 0.2 -0.3 0.6 -0.3 0.5 1.3 0.5 -1.6 0.3 -0.4 0.8
2008 0.9 -1.9 1.5 0.6 0.1 0.1 -1.2 -0.9 1.2 0.5 -8.1 1.3 -6.1
2009 -1.9 0.6 2.2 0.5 1.4 1.5 0.6 -1.5 -1.3 -2.2 1.9 -0.7 1
2010 0.5 0.7 0.6 -0.9 0.6 0.5 0 2.6 0.4 -0.4 1.4 0.3 6.4
2011 1.4 -0.6 0.6 0.6 -1.5 0.4 0.1 -0.4 -1.4 -1.5 -0.2 -0.2 -2.7
2012 1 0.4 0.6 0 -1.9 2.2 0 0.3 0.1 0.2 0.1 1.1 4.2
2013 0.8 0.3 -0.2 -0.2 -2 0.9 0.6 -0.1 0.1 -0.3 -0.1 0 -0.2
2014 -0.7 0.4 -0.2 0.1 0.4 0.5 0.3 -0.1 -1 1.1 -0.3 -0.8 -0.5
2015 -1.5 -0.1 0.4 0.6 -0.4 0.6 0.4 -2.6 -0.2 -0.9 0.6 -1.2 -4.2
2016 0.7 1.8 0.3 -0.1 0.7 0 -0.3 0.5 0.4 -0.3 -1 -0.2 2.5
2017 -0.2 0.3 -0.2 -0.2 0.6 -0.1 0.1 0.2 0.2 -0.2 0 0.3 1
2018 0.2 -1.1 0.8 -1 -0.2 0.2 -0.6 -0.3 0 0.6 0.3 0.1 -0.8
2019 -0.1 0.2 0 -1.1 -1.1 0.2 0.1 0.1 -0.7 -0.1 -0.1 0 -2.6
2020 -1.2 -1.8 -2.1 -1.1 0.8 0.2 -1.1 -0.2 0.4 -0.8 0.9 0.1 -5.9
2021 0.4 1 0.4 NA NA NA NA NA NA NA NA NA 1.8

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart